d-Quote Guidelines and Closing Procedures for Trading Today

d-Quote Guidelines and Closing Procedures for Trading Today

Dear Sales Team,

This is a reminder that we are expecting higher than normal volume today, Friday, June 22, 2018, for the Russell Reconstitution. Thus, we would like to bring the d-Quote order guidelines, NYSE closing procedures, and MOC/LOC cutoff times for Tape B and C names to your attention.

d-Quote Order Guidelines

On high volume days, extra brokers and handhelds are activated, however the increased flow may lead to a decrease in the number of orders being processed

Please get your d-Quote orders in early, preferably no later than 3:55 pm ET

Traders are encouraged to send large groups of orders in stages, not all at once

Traders are discouraged from sending cancels for any d-Quote order, but if they must, please have them send a straight cancel and replace it with a regular order

d-Quotes do not work in UTP (NASDAQ) names as there are no closes

d-Quotes marked short may not execute on the close in SSR triggered stocks

d-Quotes will be executed on a best efforts basis only

d-Quotes will execute on intraday reopenings, if marketable

NYSE Closing Procedures

Size limitations for systemically entered order:

99 million shares to BBSS

99 million shares from BBSS to HHD

25 million shares to Display Book

Principal interest entered in any of the Display Book reporting templates is also limited to 25 million

Note: orders sent in for auto-ex may not exceed 1 million shares.

Rule 123C call for interest:

Please note the following characteristics:

Orders can only be entered from the handheld as e-Quotes or DOT

e-Quotes trade on parity

can only be opposite side of the imbalance

cannot be priced worse (through) than the last sale & must be limited

cannot be cancelled once entered

orders should be created manually in BBSS

ALGO Strategies Closing Conversion:

All Pragma TWAP, VWAP, Provide strategies are designed to complete before the close. In the event that the order does not, unexecuted volume will convert to a d-Quote at 3:59:44 for the close providing the end time is set to 4:00 pm. The same applies to POV and NBBO Peg Fill on Close strategies.

d-Quotes and pegging e-Quotes are included in the informational imbalance feed starting at 3:55

d-Quotes and pegging e-Quotes entered in any form after 3:59:50 will be rejected

They may be cancelled at any time until 4:00

d-Quotes will execute prior to the close if the file price becomes marketable

d-Quotes will execute on the opening or intra-day re-opening if entered beforehand

Benchmark Strategies that convert into d-Quotes can be canceled until 4:00. Cancel and replace orders sent after 3:59:50 will attempt to complete the replacement order prior to 4:00 but will not convert to a d-Quote